Minimum Hellinger distance estimates for a periodically time-varying long memory parameter

TL;DR

This paper introduces a new estimation method for a periodically time-varying long memory parameter in fractionally differenced processes, using minimum Hellinger distance, validated through simulations.

Contribution

It develops a novel minimum Hellinger distance estimator for periodically varying long memory parameters in fractionally differenced processes.

Findings

Estimator performs well in simulations

Effective for periodically varying long memory parameters

Provides a new approach for long memory process analysis

Abstract

We consider a purely fractionally deferenced process driven by a periodically time-varying long memory parameter. We will build an estimate for the vector parameters using the minimum Hellinger distance estimation. The results are investigated through simulation studies.